摘要
针对已有的长寿互换产品在考虑人口死亡率相依性方面不足的问题,引入Copula函数,建立具有相依性的Lee-Carter模型,并应用Sharpe比率定价法对长寿互换定价。首先,根据中国1994—2017年的数据进行实证分析,发现改进后的死亡率模型对总体的长寿风险刻画更符合实际,优于原有模型;其次,应用蒙特卡罗模拟方法预测未来的死亡率,通过Sharpe比率定价法给出退休人口的长寿风险定价,使得定价更趋于合理,同时发现,女性进行长寿互换所需的风险溢价要高于男性;最后,分析了样本周期、起始时间、Sharpe比率及长寿互换的期限对长寿互换定价的影响,发现各因素对长寿互换定价的影响均显著,进一步验证了Sharpe比率法对长寿互换的有效性。利用本方法对长寿风险进行定价更趋于现实。
In response to the problem that the existing longevity swap products are deficient in considering the dependence of population mortality,the Copula function was introduced to establish the dependent Lee-Carter model.In addition,the Sharpe ratio pricing method was used to price the longevity swap.Firstly,according to the empirical analysis of China s data from 1994 to 2017,it was found that the improved mortality model is more realistic and better than the original model in describing the overall longevity risk;secondly,the Monte Carlo simulation was used to simulate and predict the future mortality,and the longevity risk price of the retired population was given through the Sharpe ratio pricing method,making the pricing more reasonable,and at the same time,it turned out that women need a higher risk premium than men for longevity swap;finally,by analyzing the impact of the sample period,the start time,the Sharpe ratio and the term of longevity swap on the pricing of longevity swap,it was found that each factor is significant to the pricing of longevity swap,which further verifies effectiveness of the Sharpe ratio method for longevity swap It is more realistic to use this method to price longevity risk.
作者
胡月
陈岚岚
章迪平
HU Yue;CHEN Lanlan;ZHANG Diping(School of Sciences,Zhejiang University of Science and Technology,Hangzhou 310023,Zhejiang,China)
出处
《浙江科技学院学报》
CAS
2020年第6期509-515,540,共8页
Journal of Zhejiang University of Science and Technology
基金
浙江省科技计划项目(2015C33088)。
